In recent years, Value has underperformed other factors in global equity markets. However, the sources of Value performance are not identical—it’s worth observing the differences in the sources of Value by region.
We define the Value factor as a combination of E/P (Earnings Yield), CF/P (Cash Flow Yield) and country relative S/P (Sales to Price Ratio). Our Value indexes are formed using the “tilt” approach, which adjusts the weights of individual stocks according to the Value of their factor exposures.
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